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Typically you want to max Malephic Visions and have at least 1 point in your W so that you can chain it with your Ult.

Lots of builds are going to suggest a deathfires graspe, its active plus a W+R combo can actually alone earn some kills on some squishy people.

Ryleigh's scepter is also a good item to get because the slow can help keep people from dodging your Q and make them take more damage in your W.

Malzahar is one of my favorite characters as well.

I always found mana to be an issue though, so I went for trying to get the Tear of the Goddess first priority above anything, to start collecting the +mana per spell cast. Another thing to make sure of, is when engaging champions, try to make sure you have Nether Grasp up. Cast Malefic Visions, then Null Zone, and then drop Nether Grasp on them. By the time the grasp is down, you should have dealt a heap of damage, if it didnt kill them. Another thing to note is that Ignite does NOT cancel the Nether Grasp casting.

I like to use Magic Pen marks, Mana Regen/Lvl seals, 3 flat cd and 6 cd/Lvl glyphs, and flat hp quins, and use 10/0/20 Masteries, getting Ignite and Flash, but only improving ignite.
I like to get my Q 1st, and spam it at the spawning pool to prepare my Voidling. After that, I focus my E as all Malzahars should, stopping to get my W at level 4. After my E is maxed, I max my Q, then my W, obviously getting my ulty whenever avalable.

A few In-game tips:
Many Malzahars like to use Melephic Vision to harass, but I like to use it to farm and push. You can do either, just know if a target dies from melephic vision, mana is refunded.

How I build Malzahar, my W is very weak, but that doesn't mean I underestimate it. It's still a good harassing tool, and can deal heavy damage to tanks, and pretty much anyone late game assuming I'm fed.

Your ulty is NOT a good initiate. In my early days, this is exactly how I die. Instead, wait for a champion to get WAY out of position, or wait for a team fight to be initiated before casting your ulty.

NEVER chase Malzahar into a bush. Here's how you can get an easy kill: have all your abilities including ignite ready, and "persuade" someone to follow you into a bush. If they follow you, VERY QUICKLY, cast your Q, W, E and ulty in that sequence. If he survives, ignite him. It should either kill him, or get him to a state of almost dying and running. And since you've casted 4 spells, your Voidling should spawn, too. Since your ignite counts as a spell otward your Voidling, if you're lucky, you can spawn 2 Voidlings.

I don't know how helpful this was, but I hope it's good enough to get you started.